Objects of window class are used to generate windows and supply a place where MUI gadgets feel well. It handles the complicated task of window resizing fully automatic, you don't need to worry about that.
Windows are children of an application, you cannot use a window object without having a parent application object. On the other side, the gadgets in a window are children of the window, you cannot use MUI gadgets without having a parent MUI window.
Creating a window object does not mean to open it instantly. This is done later by setting the window's Window.Open attribute. If your application has several windows, the usual way is to create them all at once at startup time and open/close it later just by setting Window.Open.
There is no difference in talking to gadgets whether their parent window is open or not. If you e.g. set the contents of a string gadget in an open window, the gadget will refresh immediately. If the window is closed, the gadget just remembers its new setting and displays it later.